Here are the setup instructions for those of you who wish to work with Visual Studio 2012, Express for Windows Desktop version included.
Navigate to the Express Website and download the Express edition of the Visual Studio compiler.
Run the installer, and let it install to the default configuration.
If you have developed with older openFrameworks / Visual Studio, we have writen a script which will help you to migrate in a really easy way. Download it here, copy it in your project folder, then execute it.